V-Lab: Nichirei Corp MF2-GARCH Volatility Analysis

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V-Lab

Nichirei Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:18.75% (-0.29%)

Analysis last updated: Wednesday, May 1, 2024 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0753	15.50
$β$	0.6131	45.01
$γ$	0.1132	15.22
$λ_{1}$	0.5793	0.26
$λ_{2}$	0.8481	0.25
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts